1. 'sftp' often runs and you can use that
2. it's weird doing ssh to a remote, then using that session to transfer a file to your local machine via scp. You should just run scp from the local machine to copy the remote (unless of course you're not sure of the filename beforehand, in which case sftp is more convenient if available).
3. If you read the scp manual you will see you can do things like:
scp my_local_file
my_remote_user_name@some.url:the/remote/directory/and/my_local_file
If you have a '/' after the ':' you need the full path name; otherwise the directories are taken to be in whatever the HOME is for the remote.